Euler scheme and tempered distributions
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References listed on IDEAS
- Konakov Valentin & Mammen Enno, 2002. "Edgeworth type expansions for Euler schemes for stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 8(3), pages 271-286, December.
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
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- Aurélien Alfonsi & Benjamin Jourdain & Arturo Kohatsu-Higa, 2014. "Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme," Post-Print hal-00727430, HAL.
- Pagès Gilles, 2007. "Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity," Monte Carlo Methods and Applications, De Gruyter, vol. 13(1), pages 37-70, April.
- Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
- repec:bpj:mcmeap:v:23:y:2017:i:2:p:71-88:n:2 is not listed on IDEAS
- repec:hal:wpaper:hal-00727430 is not listed on IDEAS
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
- Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
- Nicola Bruti-Liberati & Eckhard Platen, 2007.
"Approximation of jump diffusions in finance and economics,"
Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
- Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:bpj:mcmeap:v:23:y:2017:i:1:p:1-12:n:1 is not listed on IDEAS
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KeywordsStochastic differential equation Euler scheme Rate of convergence Tempered distributions;
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